Basel Methodological Heterogeneity and Banking System Stability: The Case of the Netherlands

54 Pages Posted: 29 May 2018

See all articles by Laurence Deborgies Sanches

Laurence Deborgies Sanches

De Nederlandsche Bank

Marno Verbeek

Erasmus University - Rotterdam School of Management; Erasmus Research Institute of Management (ERIM); Netspar

Date Written: May 22, 2018

Abstract

The paper investigates how the mix of credit risk measurement methodologies under Basel capital adequacy rules influenced banking stability in the Netherlands during 2008-2015. It presents a first descriptive analysis that helps to examine the micro-regulation of individual banks and the macro-regulation of the banking system in one unified framework. Its goal is to draw regulators’ and researchers’ attention to interesting issues based on the comparison of the literature highlighting the weak points of the regulatory framework with what is observed in the dataset. Its purpose is to stimulate discussions on certain methodological and policy options.

Keywords: macro-regulation, banks, credit rating, Basel methodology

JEL Classification: G001, G21, G24, G28

Suggested Citation

Sanches, Laurence Deborgies and Verbeek, Marno, Basel Methodological Heterogeneity and Banking System Stability: The Case of the Netherlands (May 22, 2018). De Nederlandsche Bank Working Paper No. 593. Available at SSRN: https://ssrn.com/abstract=3186540 or http://dx.doi.org/10.2139/ssrn.3186540

Laurence Deborgies Sanches (Contact Author)

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Marno Verbeek

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Room T09-53
3000 DR Rotterdam
Netherlands
+31 10 408 2790 (Phone)

HOME PAGE: http://www.rsm.nl/mverbeek

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Netspar

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Register to save articles to
your library

Register

Paper statistics

Downloads
10
Abstract Views
146
PlumX Metrics